Article ID Journal Published Year Pages File Type
1145549 Journal of Multivariate Analysis 2014 11 Pages PDF
Abstract
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew-t distribution. This distribution always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is an appropriate (skew) extension. The rate is asymptotically a power-law. The second-order structure of the univariate quantile function for such a skew-t distribution is a central issue. Our results generalise those for the bivariate symmetric t.
Related Topics
Physical Sciences and Engineering Mathematics Numerical Analysis
Authors
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